375 citations · 513 across the 15 of their papers we have counts for
Showing 2017Show all
2 papers · 1 filter
q-fin.MF2017
Systemic risk in a mean-field model of interbank lending with self-exciting shocks
Anastasia Borovykh, Andrea Pascucci, Stefano la Rovere
In this paper we consider a mean-field model of interacting diffusions for the monetary reserves in which the reserves are subjected to a self- and cross-exciting shock. This is mo…
stat.ML2017★ 375 cited
Conditional Time Series Forecasting with Convolutional Neural Networks
Anastasia Borovykh, Sander Bohte, Cornelis W. Oosterlee
We present a method for conditional time series forecasting based on an adaptation of the recent deep convolutional WaveNet architecture. The proposed network contains stacks of di…